Modeling multivariate conditional variance skewness kurtosis
多维条件方差偏度峰度建模

Considering factors of anticipation and volatility,to measure the dynamic character of higher moments risk and investigate impacts of the risk on multi-financial markets or assets,a model of multivariate conditional higher order moments,which can solve the problem of 'dimension disaster',was proposed with the determination of the formulas between moments and co-moments.Time-varying parameters of higher order moments were estimated using Dynamic Conditional Correlation,Autoregressive conditional density and ...